If included among them, make a beeline for any volumes containing Nelson's letters. The original volumes by Sir Nicholas Harris have been reprinted are are fairly reasonable to buy, and there are a couple of abridged collections of his letters in book form. His character comes out clearly from his letters after you start to read them - often more informative than the many books on Nelson.
Here's some on-line letters to give you a flavour.
Letters and Dispatches of Horatio Nelson